WeatherLeg

Weather Leg of a Commodity Swap defines Weather Index Swap transactions. Weather Index Swap transactions are OTC derivative transactions which settle financially based on an index calculated from observations of temperature and precipitation at weather stations throughout the world. Sub-Annex C of the 2005 ISDA Commodity Definitions provides definitions and terms for a number of types of weather indices. These indices include: HDD (heating degree days), CDD (cooling degree days), CPD (critical precipitation days). Weather Index Swap transactions result in a cash flow to one of the two counterparties each Calculation Period depending on the relationship between the Settlement Level and the Weather Index Level.

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Field	Type	Description	Print form title	FFSM title	Properties	Conditions
@id	xsd:ID				1-1, ncf
payerPartyReference	PartyReference	A reference to the party responsible for making the payments defined by this structure.	Payer.	Party code.	0-1, mre, mfr
payerAccountReference	AccountReference	A reference to the account of the payer party (specified by payerPartyReference) responsible for making the payments defined by this structure.	Payer's account.	Party's client.	0-1, ncf	At the first stage this element is not used in the repository messages.
receiverPartyReference	PartyReference	A reference to the party that receives the payments corresponding to this structure.	Receiver.	Party code.	0-1, mre, mfr
receiverAccountReference	AccountReference	A reference to the account of the receiver party (specified by receiverPartyReference) that receives the payments corresponding to this structure.	Receiver's account.	Party's client.	0-1, ncf	At the first stage this element is not used in the repository messages.
weatherIndexLevel	WeatherIndex	Defining the Weather Index Level or Weather Index Strike Level.	Weather index level.		0-1, mre
Choice begin
Branch1
weatherCalculationPeriods	WeatherCalculationPeriods	The schedule of Weather Calculation Periods. If there is only one Calculation Period then the First Day of the Calculation Period is equal to the Effective Date and the Last Day of the Calculation Period is equal to the Termination Date.	Weather calculation periods.		1-1, mre
Branch2
weatherCalculationPeriodsReference	CalculationPeriodsReference	Weather calculation periods reference.	Weather calculation periods reference.		1-1, ncf	At the first stage the repository doesn't use references to periods and dates.
Choice end
weatherNotionalAmount	NonNegativeMoney	Defines the price per weather index unit.	Weather notional amount.		0-1, mre
calculation	WeatherLegCalculation	Defines details relevant to the calculation of the aggregate weather index amount.	Weather index value calculation.		0-1, mre
paymentDates	CommodityRelativePaymentDates	The Payment Dates of the trade relative to the Calculation Periods or Calculation Date.	Payment dates.		0-1, mre
weatherIndexData	WeatherIndexData		Weather index data.		0-1, ncf	At the first stage this element is not used in the repository messages.

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WeatherLeg

payerPartyReference(PartyReference)

	A reference to the party responsible for making the payments defined by this structure.
	Party code.

receiverPartyReference(PartyReference)

	A reference to the party that receives the payments corresponding to this structure.
	Party code.

weatherIndexLevel(WeatherIndex)

Defining the Weather Index Level or Weather Index Strike Level.

quantity(decimal)

	This is the Reference Level. The CDD, HDD or CPD Reference Level is specified as the number of (amount of) Weather Index Units specified by the parties in the related Confirmation.

unit(QuantityUnit)

	Weather Index Unit derived from one of the following variable methods of determination: Cooling Degree Day (CDD), Heating Degree Day (HDD), Critical Precipitation Day (CPD) as defined in Section 11.15 of the 2005 ISDA Commodity Definitions and User Guide.

A choice of the calculation periods definition method.

weatherCalculationPeriods(WeatherCalculationPeriods)

	The schedule of Weather Calculation Periods. If there is only one Calculation Period then the First Day of the Calculation Period is equal to the Effective Date and the Last Day of the Calculation Period is equal to the Termination Date.

calculationPeriod(WeatherCalculationPeriod)

	Weather Calculation Period. If there is only one Calculation Period then the First Day of the Calculation Period is equal to the Effective Date and the Last Day of the Calculation Period is equal to the Termination Date.

calculationPeriodFirstDay(IdentifiedDate)

	The first day of the Weather Calculation Period. If there is only one Calculation Period then the First Day of the Calculation Period is equal to the Effective Date.

calculationPeriodEndDay(IdentifiedDate)

	The last day of the Weather Calculation Period. If there is only one Calculation Period then the Last Day of the Calculation Period is equal to the Termination Date.

weatherNotionalAmount(NonNegativeMoney)

Defines the price per weather index unit.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(NonNegativeDecimal)

	The non negative monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.
	Total payment.
	[0;

calculation(WeatherLegCalculation)

Defines details relevant to the calculation of the aggregate weather index amount.

settlementLevel(WeatherSettlementLevelEnum)

	The Settlement Level means either the cumulative number of Weather Index Units for each day in the Calculaiton Period (Cumulative) or the cumulative number of Weather Index Units for each day in the Calculation Period divided by the number of days in the Calculation Period (Average) or the maximum number of Weather Index Units for any day in the Calculation Period (Maximum) or the minimum number of Weather Index Units for any day in the Calculation Period (Minimum).
	Cumulative;Average;Mximum;Minimum;

referenceLevelEqualsZero(boolean)

	If 'true', reference level equals to zero.

calculationDate(Period)

Defines a calculation date.

periodMultiplier(integer)

	A time period multiplier, e.g. 1, 2 or 3 etc. A negative value can be used when specifying an offset relative to another date, e.g. -2 days.

period(PeriodEnum)

	A time period, e.g. a day, week, month or year of the stream. If the periodMultiplier value is 0 (zero) then period must contain the value D (day).
	D;W;M;Y;

maximumPaymentAmount(NonNegativeMoney)

Cups on total payment amount.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(NonNegativeDecimal)

	The non negative monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.
	Total payment.
	[0;

maximumTransactionPaymentAmount(NonNegativeMoney)

Cups on payment amount that goes out in any particular calculation period.

currency(Currency)

	The currency in which an amount is denominated.
	Code of currency of denomination.

amount(NonNegativeDecimal)

	The non negative monetary quantity in currency units. For the purposes of reporting to the repository, an amount is specified with 7 decimal places. For example, 350.1234567. The value of 350.45 would be represented as 350.4500000.
	Total payment.
	[0;

paymentDates(CommodityRelativePaymentDates)

The Payment Dates of the trade relative to the Calculation Periods or Calculation Date.

A choice of the reference for payment date definition.

payRelativeTo(CommodityPayRelativeToEnum)

	Specifies whether the payment(s) occur relative to a date such as the end of each Calculation Period or the last Pricing Date in each Calculation Period.
	CalculationDate;CalculationPeriodMonthEnd;CalculationPeriodMonthStart;EffectiveDate;PricingPeriodMonthEnd;TerminationOrExpirationDate;TradeDate;PricingPeriodEndOfWeek;FirstPricingDate;

payRelativeToEvent(CommodityPayRelativeToEvent)

	Specifies whether the payment(s) occur relative to the date of a physical event.